Statistics and High frequency Data
Jean Jacod
Laboratoire de Probabilités
Université Paris VI - Tour 56 - 3ème étage
4, Place Jussieu
75252 PARIS CEDEX 05
Abstract: This short course is devoted to a few statistical problems related to the observation of a given process on a fixed time interval, when the observations occur at regularly spaced discrete times. This kind of observations may occur in many different contexts, but they are particularly relevant in finance: we do have now huge amounts of data on the prices of various assets, exchange rates, and so on, typically "tick data" which are recorded at every transaction time. So we are mainly concerned with the problems which arise in this context, and the concrete applications we will give are all pertaining to finance. In some sense they are not "standard" statistical problems, for which we want to estimate some unknown parameter. We are rather concerned with the "estimation" of some random quantities. This means that we would like to have procedures that are as model-free as possible, and also that they are in some sense more akin to nonparametric statistics.
Lecture notes: To receive the lecture notes of this course, please send an e-mail to Yacine Chitour: 
.